基于滤波分析的超灵便型船运价指数波动特性

摘要

Baltic Supramax Index (BSI) is an important part of Baltic Dry Index (BDI).Its volatility can reflect the situation of international dry bulk market.To find the volatility of BSI,combined with EViews 6.0,BSI monthly series with seasonal factors are decomposed by Census X12,HP filter and BP filter.As a result,trend factors,seasonal factors and circulating factors are found respectively.Abnormal volatility and cyclical trend of BSI monthly series are analyzed to reveal the volatility of BSI.The empirical analysis shows that it has a great significance for market participants to judge the market trend,make investment decisions,and avoid risks.%超灵便型船运价指数(Baltic Supramax Index,BSI)是波罗的海干散货运价指数(Baltic Dry Index,BDI)的重要组成部分,BSI的波动特性能够反映国际干散货市场的状况.为找出BSI的波动特性,结合EViews 6.0,通过将Census X12季节调整法、HP滤波和BP滤波方法相结合,将带有季节因素的BSI月度值序列进行分解,分别找出其中的趋势要素、季节要素和循环要素,分析BSI月度序列的异常波动特性和趋势循环特性,揭示BSI序列的本质波动规律.实证表明,该方法对于市场参与者判断市场走向、进行投资决策、规避风险等具有重要的意义.